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- Thu Jul 06, 2017 12:51 am
- Forum: Econometric Discussions
- Topic: Estimating error correction model
- Replies: 1
- Views: 4342
Estimating error correction model
Hi I am having trouble in estimating an error correction model with a cointegration relationship. Suppose I have y1, y2 and y3 in levels. My equation specification is: dy1 = c(1)*(y1(-1) -c(2)- c(3)*y2(-1)-c(4)*y3(-1))+c(5)*dy1(-1)+c(6)*dy2(-1)+c(7)*dy3(-1). I just applied the ls estimation. But the...